I chose the "sole proprietorship" route myself over LLC simply because it seemed more expedient and fit my needs better. The LLC was a lot more paperwork, and while yes if I get sued I could be more personally responsible than I would be with an LLC, I feel that's pretty unlikely at least in the comics business. If I was making movies or something of that nature then yeah, but come on, what are you gonna get by suing me anyway? I've got an X-box with 3 year old games, some ratty comics and some questionable lettuce in the fridge. If you want that lettuce, you're welcome to it.
But yeah I have noticed a lot of conventions won't let you sell anything if you don't have a tax ID number and the appropriate documentation, so that's really what forced my hand on the whole business thing. My ex wife ran my first studio COMPLETELY illegal at every step of the game and still may have to answer for all that, but I figured I'd not go that route. Something about arguing with the tax people who ALREADY know your account number seems...futile.
Anyway, as business things go I like it. I have noticed several offers of credit which I've thus far declined. Maybe someday, but that day is not today. I paid my first round of sales tax this season which was...kinda cool. Annoying that I have to mess with it, and a nightmare if you don't have the forms they send you, but still it's kinda cool having sales from which to pay taxes, you know? We'll see how I feel about that in a few years tho!